There probably is no way how you could directly export a CorelDRAW vector image as Microsoft Visio diagrams. The only way would be to first export the CDR to some common graphics (SVG, JPG etc.) , which can then be used in Microsoft Visio and imported as shapes or objects to a new or existing Visio file (.vsd).
VSD format was only used in older versions of Visio, so in latest versions you may need to select newer file type for the same purpose.
Updated: September 20, 2016